Bond Portfolio Analytical Tools

  • BondRisk

    A comprehensive fixed income portfolio analytical package for bank portfolio managers, securities dealers, and related entities. BondRisk's in-depth risk measurement allows users to determine overall risk levels quickly, and offers built in analytical tools that streamline the process of evaluating alternative investment strategies. Our portfolio calculations are used by over 500 banks on a monthly basis.

  • SwapRisk - Bond Swap Model

    SwapRisk is a robust and highly customizable bond swap model which projects expected portfolio book yields and income generated by one portfolio of prospective sell side bonds to another portfolio of prospective buy side bonds under 9 shocked interest rate scenarios plus forward rate capabilities. The analytical tool will handle up to 100 securities on the buy and sell side (200 total). SwapRisk has additional capabilities which allow the user to optimize the sale bond and buy bond subsets based on months to break even, or maximum benefit for a selected time horizon under any or all selected rate scenarios.

  • BondMonitor

    Allows for aggregated monitoring of client holdings and includes an alert for maturing and called securities as well as search capabilities based on CUSIP or other security specific parameters. The software is fully integrated with BondRisk and SwapRisk for efficiency.

  • FirstAlert

    Integrated with BondMonitor to provide estimates of principal return for MBS and CMOs based on actual speeds and factors. The report includes a month over month comparison by specific bond and in aggregate.

  • Offering Sheets

    Integrated with Bloomberg API and R2Metrics calculation engines, Offering Sheets presents in a one or two page (for municipal bonds) format a succinct but comprehensive overview of important descriptive and analytical information that can help an investor make informed pre-purchase decisions on differing investments. Independently provided analytics have recently become a regulatory requirement for bank portfolio managers.

  • Cost of Carry

    Compares yield and earnings generated by an individual security or a portfolio of securities to future expected financing or forward rates. The user can also shock forward rates and change the investments expected workout date if needed. This tool is used to determine relative profitability of securities under forward rate scenarios so the salesman or analyst can select bonds that produce the most earnings over the relevant time horizon.

  • Market Metrics

    A one page compilation of relevant money market rates such as swap markets, forward rates, investment curves, and cap and floor prices. Easy to follow and understand and ideal for bank CEO’s and CFO’s. Many bankers rely on these market rates to price fixed rate loans and deposits.

  • Peer Data

    A one page comparison of performance and risk measurements compared to a large real time sampling of financial institutions.

  • Auto Updates

    Automatic nightly BondRisk reruns of designated BondRisk reports using R2Metrics market pricing so as to increase the accuracy and utility of the BondRisk report in increasingly volatile market conditions.

  • Muni Credit Mining

    For Bloomberg subscribers, an efficient and inexpensive way to capture latest financial data on many municipal issuers including revenues, expenses and balance sheet levels and ratios. Routines allow for as many as 50 municipal bonds to be populated at once – allowing for both the pre-purchase analytics on individual offerings, and the ongoing monitoring of existing holdings. Both are newly required regulatory mandates.

  • ALM Products and Services

  • BankRisk

    Proprietary Asset/Liability Model designed to meet the Interest Rate Risk (IRR) modeling requirements of mid-market and smaller Financial Institutions (FI). Incorporates detailed individual instrument data for securities, loans, CD’s, and balance sheet line items. Data is gathered directly from the FI’s core processing system. The output is designed to give the Board of Directors and Management the most relevant analysis in a concise, easy to understand report. We are not affiliated with any single bond dealer and maintain 3rd party independence.

  • Asset/Liability Model Validation and Verification

    If your institution currently uses either a bond dealer sponsored, internal, or outsourced ALM solution, R2Metrics can perform various services to improve the model's accuracy and ensure regulatory compliance of model assumptions.

  • Parallel Simulation and Comparative Sensitivity Analysis

    - Independent AL simulation with BankRisk
    - Comparison of forecasted asset yields, liability costs, and net interest margin vs. primary AL model
    - Comparison of changes in market values vs. primary AL model
    - Determine the cause of all significant modeling discrepancies

  • Model Assumption Analysis

    - Correlation and back-testing of historical deposit rates to key driver rates
    - Verification of critical model assumptions
    - Institution specific non-maturity deposit decay rates
    - Loan assumption review and validation

  • ALCO IRR Policy Review

    - Confirm IRR policies are appropriate for institution’s risk profile and business mix
    - Verify AL model is able to measure what policies stipulate
    - Assist with policy refinement as needed

  • Liquidity Stress Testing

    - Regulatory mandated process to project short and long term funding needs
    - Allows “what if” liquidity testing over 5 year time period
    - Includes loan, investment and deposit growth and runoff assumptions
    - Works with R2Metrics BankRisk loan and investment cashflows or as a standalone program

  • Independent Investment Portfolio Risk Assessment

    - Covers both relative performance of portfolio as well as risk metrics as compared to a real time peer subset of over 600 portfolios
    - Includes book yield, internal rate of return, market value gain/loss and market value price sensitivity, book yield forecast, principal cashflows, sector allocation, liquidity measures, and credit risk

  • Continuing Education Webinars

    For both Boards and ALCOs, 30 minute to 1 hour seminars on interest rate risk topics such as bond portfolio and balance sheet management, loan and deposit pricing, liquidity measurement and stress testing, etc.

  • Valuation

    We provide independent third party valuation for loans, deposits and non-rated or non-investment grade municipal bonds, as well as FAS 107 reports.

  • Monthly Consulting

    Independent interest rate risk measurement, liquidity, loan pricing, and bond portfolio strategic and tactical consultation.

  • Call Report Data Mining

    We provide custom data mining of FDIC/NCUA call report database information including peer analysis at a competitive hourly rate. Also, bulk data can be aggregated to derive average statistical data on a state, regional, or national level.

  • Custom Programming of Financial Applications

    We offer customized financial or web based programming at competitive hourly rates for any financial tools you would like designed and implemented. Programming languages include Excel, Visual Basic, C#, Java, and .NET.

  • ALCO Online

    A web-delivered menu of important financial institution analytical tools designed to assist important personnel with pricing and other strategic decisions. This includes – converting loans from fixed to floating, floating to fixed, valuing embedded caps and floors, funding optimization, liquidity stress testing, deposit beta and market value calculators, etc.

  • Learn how our products can help your financial institution manage risk.